Courses

Please check with the BSE Handbook which mandatory courses you have to choose in your PhD track. Not all courses listed here can be approved as Core Courses for all BSE PhD tracks.

Thursday,
04:00pm to 07:00pm
at SPA1, R23
Description:

Advanced Experimental Economics introduces methods and models currently used in analyses of economic experiments. The focus will be on structural models used to estimate utility functions, depth of reasoning, and subject heterogeneity. The course covers the numerical and econometric methods required to conduct structural analyses and the current behavioral approaches to model utilities and beliefs. Methods and models are developed in relation to standard experimental games and code examples illustrate their application on actual data. The topics include the estimation of social preferences in non-strategic environments (such as dictator games), the estimation of beliefs in normal-form games of complete information (e.g. level-k and quantal response equilibrium), the estimation of preferences and beliefs in strategic games (such as ultimatum and public goods games), the estimation of beliefs and updating errors in games of incomplete information (such as auctions), and the estimation of strategies in repeated games.

For the first 10 weeks of the course, I cover the core material in lectures. Along the way, topics for term papers are assigned and the participants start working on their topics. The term papers will apply the discussed methods and models to analyze existing experimental data sets, e.g. by estimating preferences and beliefs. PhD students will write papers of about 15-20 pages length, Master students will write papers of about 8-10 pages length. In the concluding five weeks of the course, the participants present the results of their projects in the class.

- Literature:
M. J. Osborne and A. Rubinstein. A course in game theory, 1994. MIT Press.
C. F. Camerer. Behavioral game theory, 2003. Princeton University Press.
K. L. Judd. Numerical methods in economics, 1998. MIT Press.
K. Train. Discrete choice methods with simulation, 2009 (2nd edition). Cambridge University Press.
C. A. Holt. Markets, games and strategic behavior, 2006. Addison Wesley.

- Exam (written? If yes: One or two exam dates?): Term paper and presentation by the end of the course

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Wednesday,
10:00am to 12:00pm
at HU Berlin, Dorotheenstraße 1, Room 005
Description:

This course provides a theoretical and empirical treatment of major topics in the area of corporate finance, including capital structure, investment decisions, corporate governance and corporate cash and payout policy. We will examine these issues from both neoclassical and behavioral perspectives.

Credits:
6.00
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Instructor:
Wednesday,
12:15pm to 01:45pm
at HU Berlin, Spandauer Str. 1, Room 22
Description:

Evaluating marketing decisions and developing goal-oriented marketing strategies, e.g. maximizing firm profits, depend on the measurement of causal relationships between firms’ objectives and marketing activities. In this course, we discuss in depth advanced methods to empirically determine the causal relationship between marketing activities and firms’ objectives. In exercise courses students learn how to apply these methods to real data. Special attention is given to modeling the effects of marketing on sales and market share data. In this course we also focus on discrete choice models for individual purchase data and aggregate sales data. Successful participation in this class will enable students to quantify the impact of marketing on key performance measures and to evaluate the success of marketing activities.

Literature: will be announced in class
Exam: written assignment

Credits:
6.00
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Instructor:
Description:

This background course on mathematics aims to provide fundamental mathematical knowledge essential for advanced economic analysis. Although open to all master students, it is specifically tailored to those wishing to directly pursue the advanced Y-track of courses. Therefore in content and form, this intensive course is intended to deliver methods beyond refreshing advanced calculus and linear algebra.

The course solely deals with deterministic mathematics. For some theorems formally rigorous proofs are presented in order to make participants more comfortable with - and ideally to provide some intuition for – constructing and understanding of mathematical proofs. Throughout the course proper use of notation will be stressed. Topics presented in class constitute the minimal required program given the above aim, and the maximal feasible program given time. Self study should cover topics skipped in class, as well as the
areas of personal weakness.

The lecture takes place as an intensive crash course in the week before the semester.

Literature:
− Schofield, N. (2004). Mathematical Methods In Economics And Social Choice: Study Edition (Vol. 17). Springer.
− De la Fuente, A. (2000). Mathematical methods and models for economists. Cambridge University Press.

Credits:
0.00
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Wednesday,
10:00am to 03:00pm
at HU Berlin, Unter den Linden 6, room 3001
Description:

The lecture takes place as an intensive crash course in the week before the semester. Its aim is to equip students with the necessary math background for the first year (compulsory) economics graduate level courses.

First lecture
05.10.2016, 10:00-14:30, Room 3001 , Unter den Linden 6
Please look at the uploaded course timetable for more detailed information.

Change of rooms: new room is 3001. Only at October 11, 2016: room: 021b

Credits:
0.00
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Thursday, 06:30pm at Allianz Stiftungsforum, Pariser Platz 6
Description:

Please register for the upcoming BDPEMS Reception 2016.
Thank you!

Click here to get more information or to sign up
Description:

Dear students,

As the new semester is quickly approaching, we would like to encourage you to sign up for one of the Brown Bag slots during the winter term. You are welcome to present and discuss research ideas or full-fletched projects. As you know, the BDPEMS/RTG Brown Bag is integrated into the Brown Bag Seminar Macroeconomics at HU.

We will try to distribute the available slots fairly between the two groups. As always, the seminar takes place on wednesday from 12.30 to 2pm in room 23, SPA1. There will be snacks available. The Brown Bag seminar offers you the possibility to present your work to an interested and open-minded audience and to receive useful feedback that will foster your research. It enhances the research exchange within the BDPEMS/RTG program.

If you would like to make use of this opportunity, please contact Julian (emmlerjx@hu-berlin.de) or me (Kalle.Kappner@bdpems.de) and indicate your preferred date of presentation. We encourage you to also consider the early dates. As of now, we are still urgently searching for a third co-organizer. If you would like to help us with the organization of the Brown Bag Seminar, please contact us.

Best regards, Kalle Kappner and Julian Emmler

Schedule:



Date Student Affilitation Topic
19.10.2016 Simon Voigts HU Berlin / Macro VAT multipliers and pass-through dynamics
26.10.2016 Malte Rieth DIW Inflation Targeting and Large Real Shocks
02.11.2016 Junbing Zhu FU Berlin Political Economy of Cultural Diversity
09.11.2016 David Pothier DIW / TU Berlin (Post Doc) Information Acquisition and Liquidity Dry-ups
16.11.2016 Guzmán Ourens Université catholique de Louvain/LSE Uneven Diversification and Divergence
23.11.2016 Jelena Zivanovic HU Berlin / Macro Corporate Debt Composition and Business Cycles
30.11.2016 Andreas Asseyer HU Berlin / Micro Information Control and Collusive Supervision
07.12.2016 Felix Strobel HU Berlin / Marco The Government Spending Multiplier, Fiscal Stress and Risk
14.12.2016 Falk Mazelis HU Berlin / Macro Implications of Shadow Bank Regulation for Monetary Policy at the Zero Lower Bound
04.01.2017 n.n. n.n. n.n.
11.01.2017 n.n. n.n. n.n.
18.01.2017 Yann Koby Princeton University The Effective Lower Bound of Monetary Policy
25.01.2017 David Raymaekers HU Berlin / Wirtschaftsgeschichte European Housing Market: Is there any?
01.02.2017 n.n. n.n. n.n.
08.02.2017 n.n. n.n. n.n.
15.02.2017 Janine Hart Uni Potsdam / BDPEMS

tba

 

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Description:

Graduate Center Masterclasses

Masterclasses are a series of one- or two-day courses on various topics in Economics, organized by the DIW Graduate Center. The target audience consists of graduate students in Economics at Berlin universities and research institutes. The GC Masterclasses are held on an irregular basis at DIW Berlin (about once a month) and are open to all affiliates of DIW Berlin, those of the BDPEMS program, and anyone else upon inquiry. For proposals of Masterclasses please contact Prof. Dr. Helmut Lütkepohl.

The upcoming DIW Graduate Center Masterclasses will be announced in the DIW weekly newsletter and on the DIW website. If you want to participate, please contact Juliane Metzner at jmetzner@diw.de for registration. If you have a question, please contact Yun Cao at ycao@diw.de.

Place: DIW Berlin, Mohrenstr. 58

Room: Eleanor-Dulles-Room (5.2.010)

Please see the attached link for further information on upcoming dates.

Credits:
2.00
Click here to get more information or to sign up
Thursday,
02:00pm to 05:00pm
at Schumpeter Hall, DIW Berlin, Mohrenstr. 58, 10117 Berlin
Friday,
09:00am to 12:30pm
at Schumpeter Hall, DIW Berlin, Mohrenstr. 58, 10117 Berlin
Description:

DIW Masterclass invites Arthur van Soest, from Tilburg University, for a guest lecture taking place on October 10 and 11 with the topic "Econometric Analysis of Stated Preferences".

Click here to get more information or to sign up
Instructor:
Friday,
09:00am to 12:30pm
at Eleanor Dulles Room (5.2.010), DIW Berlin, Mohrenstr. 58, 10117 Berlin
Monday,
09:00am to 11:00am
at Eleanor Dulles Room (5.2.010), DIW Berlin, Mohrenstr. 58, 10117 Berlin
Description:

The course deals with advanced estimation techniques in modern econometrics and standard single equation and systems of equations models and also covers time series analysis including multiple time series analysis.

Literature: Hayashi, F. (2000) Econometrics, Princeton University Press, Princeton;
Green, W.H. (2003) Econometric Analysis, 7th Edition, Prentice Hall, New Jersey;
Breitung, J., Brüggemann, R. and Lütkepohl, H. (2004). Structural vector autoregressive modeling and impulse responses, in H. Lütkepohl and M. Krätzig (eds), Applied Time Series Econometrics, Cambridge University Press, Cambridge, pp. 159-196;
Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis, Springer.

Grading: assignments and 2 written exams

Credits:
9.00
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Thursday,
02:00pm to 03:30pm
at DIW Berlin, Schmoller R1.2.026
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Instructor:
Monday,
02:00pm to 04:00pm
at SPA1, R23
Description:

The Economic Risk Seminar is one of three regular research seminars hosted by the Sonderforschungsbereich 649. The SFB-649 facilitates an exchange between national and international scientists. The Economic Risk Seminar covers a wide spectrum of topics with some focus on the quantitative analysis of financial markets. During semester the seminar takes place regularly on Mondays between 2 and 4pm in room 23 at the School of Business and Economics of the Humboldt-Universität zu Berlin at Spandauer Straße 1. The talks are held in English or German.

Exam: Oral exam

Credits:
6.00
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Instructor:
Monday,
12:00pm to 04:00pm
at SPA1, R22
Description:

This course provides an overview on the economic analysis of labor markets. The emphasis is on applied microeconomics and empirical analysis. Topics to be covered include: labor supply and demand, human capital, education and training, changes in the wages structure and inequality, biased technological change and returns to skills, organizational change and skill demand, the closing gender gap. The introduction of topics will be on textbook level, but the focus will be on the discussion of empirical implementation strategies used in recent publications.

Acquaintance of intermediate microeconomics or labor economics and econometrics is highly recommended.

Literature:
R. Ehrenberg and R. Smith, 2003, Modern Labor Economics;
P. Cahuc and A. Zylberberg, 2004, Labor Economics;
+ selected journal articles

Exam: written exam

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
02:30pm to 05:00pm
at Dep. Economics, Garystr. 21, Berlin-Dahlem
Description:

The aim of the course is to teach students how to interpret empirical research in public economics and to apply modern econometric methods commonly used in the field. The course covers alternative empirical approaches and important topics in empirical public economics. Empirical approaches include both structural and non-structural estimation methodologies. Topics include: distributional analysis and the measurement of inequality; treatment effects estimation of government programs; structural estimation of labor supply models and the effects of personal income taxation; the empirical ex-ante evaluation of tax-benefit reforms. The course assumes some knowledge of applied microeconometrics.

Exam: one written final exam; one term paper, bonus points for paper presentation

Credits:
6.00
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Instructor:
Tuesday, 08:00am at SPA1, R22
Description:

Lectures/Exercises:
Tue, 8-10, SPA 1, 22
Tue, 14-16, SPA 1, 22

This course presents nonparametric and semiparametric regression techniques and modern microeconometric methods for treatment effects estimation. The treatment focuses on the potential outcome approach, and students learn various methods to account for selection based on observables (regression, matching, inverse probability weighting) and for selection based on unobservables (Heckman selection correction, difference-in-differences, panel regression, instrumental variable regression, regression discontinuity design). These methods are used for cross-section data and longitudinal data, both repeated cross-sections and panel data. Students will familiarize themselves with applying the methods to real empirical data using Stata.

Main References:

AP: Angrist, J. D. and J.-S. Pischke (2009): Mostly Harmless Econometrics – An Empiricist’s Companion, Princeton University Press.
CT: Cameron, A. C. and P. K. Trivedi (2005): Microeconometrics – Methods and Applications, Cambridge University Press.
GR: Greene, W. (2008): Econometric Analysis, 6th ed., International Edition, Prentice Hall.
HL: Härdle, W. and O. Linton (1994): "Applied Nonparametric Methods", in: Handbook of Econometrics, Vol. 4, R. F. Engle und O. F. McFadden, (eds.), Elsevier Science.
PU: Pagan, A. and A. Ullah (1999): Nonparametric Econometrics, Cambridge University Press.
WO: Wooldridge, J. M. (2010): Econometric Analysis of Cross Section and Panel Data. 2nd edition, Cambridge, MA: MIT Press (see also: http://mitpress.mit.edu/books/econometric-analysis-cross-section-and-pan... ).

Further references, particularly regarding the method of Quantile Regression and the application of the methods, will be given in the course.

Exam: written exam (90 min)

Credits:
6.00
Click here to get more information or to sign up
Description:

The WZB reading group takes places each Wednesday from 1pm-2.30 pm.

Exam: Two presentations and/or discussions
Location: to be announced

Please contact Philipp Albert (philipp.albert@wzb.eu), if you are interested in joining the reading group.

Credits:
3.00
Click here to get more information or to sign up
Instructor:
Monday,
04:00pm to 08:00pm
at HU Berlin, Spandauer Str. 1
Description:

The theory of financial contracts explains the features of financial arrangements, such as debt and equity, the allocation of control rights, etc. from fundamentals of the contracting problem. It provides the basis for the analysis of capital structure decisions, debt overhang, bankruptcy, etc. The focus is on fundamentals and analytic methods.

Exam: One exam at the end of the term.

Credits:
6.00
Click here to get more information or to sign up
Thursday,
02:30pm to 06:00pm
at HU Berlin, Spandauer Straße 1, Room 22
Friday,
09:00am to 12:30pm
at Friedensburg Room 2.2.008, DIW Berlin, Mohrenstraße 58
Description:

DIW Masterclass invites Stephen Ryan from the University of Texas in Austin for a guest lecture on October 13 and 14 with the title "Machine Learning Methods in Economics".

Room Change!

October 13, 14:30-18:00, Room 22, Spandauer Str.1, HU Berlin

October 14, 09:00-12:30, Schumpeter Hall, DIW Berlin

Click here to get more information or to sign up
Instructor:
Wednesday,
08:30am to 12:00pm
at Schumpeter Hall, DIW Berlin, Mohrenstr. 58, 10117 Berlin
Description:

The objective of this course is to teach M.A. and Ph.D. students to use macroeconomic concepts and techniques for their own research and incorporates a higher degree of formal analysis than in the introductory master’s lecture (IAMA).

Part I (Prof. Burda): Methods of modern macroeconomics for researchers in the field. Stationary Markov environments, state-space methods, stochastic difference equations. Dynamic programming and Lagrangian methods, complete markets, dynamic stochastic general equilibrium models, solution techniques. The Ramsey problem. Empirical interpretation of macroeconomic shocks; structural versus reduced form.

Part II (Prof. Weinke): Dynamic stochastic general equilibrium (DSGE) models for positive and normative macroeconomic analysis. To this end a number of theoretical and empirical concepts are presented: The computation of impulse response functions, structural vector autoregressions, as well as an introduction to structural estimation. On the normative side the concept of Ramsey optimal policy is presented.

Literature: Reference list (Prof. Burda): Ljungqvist and Sargent, Recursive Macroeconomics, 2nd edition (Cambridge, USA: 2004); selected journal articles available on moodle.

Reference list (Prof. Weinke): Selected articles, e.g., Galí, Jordi and Pau Rabanal (2004), Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Postwar U.S. Data?, in: NBER Macroeconomics Annual.

Any further documents needed for the lecture will be available on moodle.

Exam: written exam

Change of location on 10/12/16 and 11/30/16: Dulles Room!

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Thursday,
09:00am to 12:00pm
at ESMT, Schlossplatz 1
Description:

Please see schedule attached.

Management Science I, Part 1: Instructor: Francis de Vericourt, ESMT
Topic: Sequential Decision Making Under Uncertainty - With Applications to Operations and Management Sciences

This course is concerned with situations in which decisions are made sequentially. The fundamental tradeoff at stake consists in balancing immediate reward with unpredictable future rewards. These situations can be found in a wide variety of areas ranging from marketing (e.g. dynamic pricing) to the environment (e.g. water management). In this course, we will primarily focus on applications in the field of management science.
The approach is based on Markov decision processes and more generally (stochastic) Dynamic Programming, which provides a set of general methods for making sequential decisions under uncertainty.

Management Science I, Part 2: Instructors: Matthew Bothner, Gianluca Carnabuci, and Linus Dahlander, ESMT
Topic: The Analysis of Economic and Social Networks

The theories and methods of social network analysis have increasingly been harnessed to better understand a diverse array of topics, such as the spread of obesity, the diffusion of innovations, mobility and risk-taking behavior in tournaments, and brokerage and status positions in markets. This course offers an introduction to the theoretical perspectives and quantitative methods of the network-analytic tradition. A number of key concepts will be introduced, together with opportunities to apply corresponding methods and approaches to measurement using data made available in class. The literature on networks is approached with two goals in mind: (1) to understand the foundations of social network theory and (2) to apply methods.

Credits:
9.00
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Monday,
10:00am to 12:00pm
at SPA1, R21a
Description:

The course covers a part of mathematical statistics which deals with the limiting behavior of different sample statistics, U-statistics, M-, L- and R-Estimates. This course gives better understanding for the basic tools learned in the elementary Statistics I and II, like Law of Large Numbers, Central Limit Theorem, Kolmogorov-Smirnov and Cramer-von-Mises tests, sample mean and sample variance behavior, etc. This course is laying a bridge between the probability theory and the mathematical statistics by manipulating with “probability” theorems to obtain “statistical” theorems.

In the first part of the course we discuss basic tools of asymptotic theory in statistics: convergence in distribution, in probability, almost surely, in mean. We also consider main probability limit laws: LLN and CLT. Then we deal with the usual statistics computed from a sample: the sample distribution function, the sample moments, the sample quantiles, the order statistics. Properties, such as asymptotic normality and almost sure convergence will be derived in the lecture. Afterwards, comes the asymptotics of statistics concocted as transformations of vector of more basic statistics. Next part concerns statistics arising in classical parametric inference and contingency table analysis. These include maximum-likelihood estimates, likelihood-ratio tests, etc. Last part of the course treats U-statistics, statistics obtained as solutions of equations (M-estimates), linear function of order statistics (L-estimates) and rank statistics (R-estimates).

Literature:
R.J.Serfling, Approximation theorems of mathematical statistics, 1980, Wiley series in mathematics.

Exam: Oral exam

Credits:
3.00
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Instructor:
Wednesday,
10:00am to 12:00pm
at Mohrenstr. 39, WIAS (Erhard-Schmidt-Hörsaal)
Description:

The Mathematical Statistics Seminar is one of three regular research seminars hosted by the Sonderforschungsbereich 649 (SFB-649). The SFB-649 facilitates an exchange between national and international scientists. The Mathematical Statistics Seminar covers a wide spectrum of topics with some focus on quantitative analysis methods. During semester the seminar takes place regularly on Wednesdays between 10 am and 12pm in the Erhard- Schmidt-Hörsaal at Weierstraß-Institut für Angewandte Analysis und Stochastik (Mohrenstr. 39, 10117 Berlin). The presentations are held in English or German.

Exam: Oral exam

Credits:
6.00
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Friday, 10:00am at SPA1, R21a
Description:

Dear BDPEMS students,

I am organizing this semester's micro theory reading group with Roland Strausz.
In case you are not on last semester's mailing list and you are interested in information economics, feel free to join the reading group on the informed principal problem.

First (organizational) meeting
Friday, October 21, 10am (you will be able to attend Anja's talk at 11!)
room 21 a (at HU, Spandauer Str 1)

First paper discussion
Friday, November 4, 10am - 12ish
same room

Reading the abstracts of the "seminal papers" cited below should give you some impression of what to expect. I am very open to include applications as well (see, e.g., Benabou&Tirole's social norms paper).
You may use the following list as a guide to pick a paper to discuss:
https://sites.google.com/site/tmylovanov/informed-principal

Let me know when you are interested so I can put you on the list.

Best regards,
Vincent, vincent.meisner@tu-berlin.de

Credits:
3.00
Click here to get more information or to sign up
Instructor:
Monday,
12:00pm to 04:00pm
at HU Berlin, Spandauer Str. 1, Room 203
Description:

This course is devoted to the core elements of microeconomics. We study both the economics of households and the economics of firms and introduce general equilibrium with particular attention to the two welfare theorems. We also examine decisions under uncertainty, introducing expected and non-expected utility theories. The analysis of choice under uncertainty leads to the examination of financial markets and to strategic interaction problems, which we introduce through the key notions in noncooperative game theory, in particular Nash equilibrium and its most important refinements.

Literature: Mas-Colell, A., Whinston, M.D. and J.R. Green (1995), Microeconomic Theory, Oxford University Press
Exam (written? If yes: One or two exam dates?): yes, four midterms and one final exam date (tba)

Credits:
9.00
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Instructor:
Tuesday, 10:00am at DIW Berlin, Mohrenstr.58, Friedensburg room
Description:

Schedule:
Die 10:00-11:30 Einzel (1) M. Fratzscher
Die 10:00-11:30 Einzel (2) M. Fratzscher
Mo 10:00-11:30 Einzel (3) M. Fratzscher
Do 10-13 Einzel (4) M. Fratzscher
Fr 10-13 Einzel (5) M. Fratzscher
Die 10-13 Einzel (6) M. Fratzscher

1) findet am 25.10.2016 statt
2) findet am 01.11.2016 statt
3) findet am 07.11.2016 statt
4) findet am 26.01.2017 statt
5) findet am 27.01.2017 statt
6) findet am 31.01.2017 statt

Discussion of seminar topics: 25.10., 01.11., 07.11.2016
Presentation and discussion of seminar papers: 26.01., 27.01., 31.01.2017

In this seminar, the participants shall prepare and present a seminar paper. The participants choose a topic that fits to the seminar title, which means that it shall deal with the European crisis. Recommendable are topics, which analyze economic policy decisions (especially the monetary policy of the ECB) as well as the functioning of the financial markets or the contagion effects of the crisis.

The paper can be empirical or theoretical and shall orientate towards the academic literature in this field. To allow an intensive dialogue among the students, the seminar is organized in block classes. Many topics are closely related to each other.

Restriction to participation: 25
Registration: 10.10.2016 - 15.10.2016 via e-mail to mfratzscher@diw.de
Audience: Master students, PhD (BDPEMS, GC)
Exam: Seminar paper (100%) + presentation and discussion

Credits:
6.00
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Monday,
02:00pm to 05:30pm
at Eleanor Dulles Room (5.2.010), DIW Berlin, Mohrenstr. 58, 10117 Berlin
Tuesday,
09:00am to 12:30pm
at Eleanor Dulles Room (5.2.010), DIW Berlin, Mohrenstr. 58, 10117 Berlin
Description:

DIW Masterclass invites Jan De Loecker from Princeton University for a guest lecture on November 07 and 08 with the title"Production and Cost: an IO perspective".

Click here to get more information or to sign up
Instructor:
Wednesday,
08:00am to 10:00am
at Frauenhoferstrasse 33-36 - FH314
Description:

Content:

Basic principles of international taxation
Basis framework of capital tax competition
Tax harmonization, tax coordination and fiscal equalization
Tax competition and foreign firm ownership
Tax competition and fiscal equalization
Taxation of foreign profits of multinational firms
Profit shifting of multinational firms
Seperate Accounting versus Formula Apportionment in corporate taxation
Preferential tax regimes in international taxation
Commodity tax competition

Literature:
Haufler, A. (2001), Taxation in a Global Economy, Cambridge University Press.

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Wednesday, 08:00am at SPA1, R21b
Description:

Bayesian methods have become increasingly popular, especially in macroeconomics. The large dimensionality of macro-econometric models and the complexity of modern DSGE models often require the use of prior information and computational algorithms to conduct econometric inference. This course will give an introduction to Bayesian estimation both from a technical and practical point of view. The curriculum will cover basic notions of Bayesian inference and posterior simulators, with applications to regression and state space models. Empirical applications and more advanced topics will be treated in reading groups. Although the focus of the course is on macro-oriented models, micro-oriented student presentations are encouraged. This course is tailored towards advanced masters and graduate students in Economics or other related disciplines.

Please see the attached syllabus for more detailed information. Registration will take place in the first lecture.

Credits:
3.00
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Instructor:
Tuesday,
12:00pm to 02:00pm
at SPA1, R21b
Description:

The course offers an overview of advanced statistical methods in quantitative finance and insurance which should be comprehensible for a graduate student in financial engineering as well as for an inexperienced newcomer who wants to get a grip on advanced statistical tools applied in these fields.

Literature:
− Cizek, Härdle, Weron (2011) "Statistical Tools for Finance and Insurance" 2nd ed., Springer Verlag.
− Franke, Härdle, Hafner (2011) "Statistics of Financial Markets", 3rd ed.,Springer Verlag.
− Härdle, Hautsch, Overbeck (2009) "Applied Quantitative Finance. 2nd extended ed.,Springer Verlag.
− Härdle, Simar (2012) "Applied Multivariate Statistical Analysis", 3rd ed., Springer Verlag.
− Gentle, Härdle, Mori (2012) "Handbook of Computational Statistics, Concepts and Methods", 2nd ed., Springer Verlag.
− Klugman, Panjer and Willmot (1998) "Loss Models: From Data to Decisions", Joh Wiley & Sons.

Exam: Oral exam

Credits:
3.00
Click here to get more information or to sign up
Instructor:
Monday,
04:00pm to 08:00pm
at SPA1, R23
Description:

Learn from Nobel price winners, such as Engle (ARCH Models, 2003), Scholes, Merton, (Derivative Valuation, 1997) or Modigliani (Financial Markets Analysis, 1985) to understand statistics of financial markets!

The class is addressed to students with excellent knowledge of multivariate statistics and students with good skills in statistical software. This course is a starting point for students interested in quantitative finance and students with ambitions to work in the derivative, investment and risk-control departments. Former students of this course work for example at Deutsche Bank, Sal. Oppenheim, Citigroup, European Central Bank, BAFin, KPMG, Nadler Company and many international universities.

Literature:
− Franke, J., Härdle, W., and Hafner, C. (2015) Statistics of Financial Markets: an Introduction. 4th ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-54538-2 (555 p)
− Härdle, W., Hautsch, N. and Overbeck, L. (2009) Applied Quantitative Finance. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 978-3-540-69177-8 (448 p)
− Hull (2005) Options, Futures, and Other Derivatives. 6th ed., Prentice Hall. ISBN 0-13-149908- 4 (816 p)
− Härdle, W., Simar, L. (2015) Applied Multivariate Statistical Analysis. 4th ed., Springer Verlag, Heidelberg. ISBN 978-3-662-45170-0 (580 p)
− Cizek, P., Härdle, W., Weron, R. (2011) Statistical Tools for Finance and Insurance. 2nd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-18061-3 (420 p)

Exam: Oral exam

Credits:
6.00
Click here to get more information or to sign up
Friday, 02:00pm at Eugene-Oaul-Wigner-Gebäude - EW 201
Monday, 10:00am at Hauptgebäude TU - H 0106
Description:

The Economics of Climate Policy is an introductory course into the economics of climate change mitigation and adaptation policies. Essentially, the mitigation of climate change is a global public good, posing policy challenges both at the national level (within countries) as well as at the international level (between countries). In the course, concepts such as market failures, externalities, and Pigouvian taxes are developed and applied to climate change. Game theory will be introduced to understand the challenges in international climate negotiations. The history and status quo of international negotiations will be reviewed, as well as implementation policies such as the EU ETS and Germany’s Energiewende. Since these concepts can be applied to many public policy problems, the course is also an introduction into allocation theory, environmental economics, public finance and game theory.

Grading: Students will be graded based on weekly problem sets (homework assignments) and a mid-term exam; there is no final exam. Make sure you attend the course from the beginning on, as we start with assignments immediately. Ph.D. students will be asked to write a term paper in addition to the assignments.

Schedule: The lecture takes place Fridays 2-4 pm; the tutorial Modays 10 am-12pm.

Please see the attached syllabus for more detailed information on course details and the schedule.

Credits:
6.00
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